Canadian Bank Balance-Sheet Management: Breakdown by Types of Canadian Financial Institutions Staff Discussion Paper 2012-7 David Xiao Chen, H. Evren Damar, Hani Soubra, Yaz Terajima The authors document leverage, capital and liquidity ratios of banks in Canada. These ratios are important indicators of different types of risk with respect to a bank’s balance‐sheet management. Particular attention is given to the observations by different types of banks, including small banks that historically received less attention. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G2, G21, G28
Endogenous Time Variation in Vector Autoregressions Staff Working Paper 2020-16 Danilo Leiva-Leon, Luis Uzeda We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence — contemporaneously and with a lag — the dynamics of the intercept and autoregressive coefficients in these models. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices, Monetary policy transmission JEL Code(s): C, C1, C11, C3, C32, E, E3, E31, E5, E52
Poignée de main invisible et persistance des cycles économiques : une revue de la littérature Staff Working Paper 2003-40 Christian Calmès The author explains how self-enforcing labour contracts can enhance the performance of macroeconomic models. He exposes the benefits of using these dynamic contracts to account for some puzzling macroeconomic facts regarding the dynamics and persistence of employment, consumption and output. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E1, E12, E4, E49, J, J3, J30, J31, J4, J41
Une nouvelle méthode d'estimation de l'écart de production et son application aux États-Unis, au Canada et à l'Allemagne Staff Working Paper 1998-21 René Lalonde, Jennifer Page, Pierre St-Amant This study introduces a new method for identifying the output gap, based on the estimation of multivariate autoregression (VAR) models. This approach, which involves using restrictions to identify structural shocks that have only a transitory effect on output but that affect the trend inflation rate, is compared with the decomposition method proposed by Blanchard and […] Content Type(s): Staff research, Staff working papers
Changes in the Effects of Monetary Policy on Disaggregate Price Dynamics Staff Working Paper 2012-13 Christiane Baumeister, Philip Liu, Haroon Mumtaz We examine the evolution of the effects of monetary policy shocks on the distribution of disaggregate prices and quantities of personal consumption expenditures to assess the contribution of monetary policy to changes in U.S. inflation dynamics. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Monetary policy transmission JEL Code(s): E, E3, E30, E32
Methodology for Assigning Credit Ratings to Sovereigns Staff Discussion Paper 2017-7 Philippe Muller, Jérôme Bourque The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of investment counterparties. Traditionally, foreign exchange reserve and asset managers have relied on credit rating agencies (CRAs) as the main source for credit assessments. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Credit risk management, Foreign reserves management JEL Code(s): F, F3, F31, G, G2, G24, G28, G3, G32
Labour Markets, Liquidity, and Monetary Policy Regimes Staff Working Paper 2002-32 David Andolfatto, Scott Hendry, Kevin Moran We develop an equilibrium model of the monetary policy transmission mechanism that highlights information frictions in the market for money and search frictions in the market for labour. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy and uncertainty, Monetary policy transmission JEL Code(s): E, E4, E5
Do Peer Group Members Outperform Individual Borrowers? A Test of Peer Group Lending Using Canadian Micro-Credit Data Staff Working Paper 2003-33 Rafael Gomez, Eric Santor Microfinance institutions now serve over 10 million poor households in the developing and developed world, and much of their success has been attributed to their innovative use of peer group lending. There is very little empirical evidence, however, to suggest that group lending schemes offer a superior institutional design over lending programs that serve individual borrowers. Content Type(s): Staff research, Staff working papers Research Topic(s): Development economics JEL Code(s): E, J, J2, J23, O, O1, O17
The Bank of Canada’s 2009 Methods-of-Payment Survey: Methodology and Key Results Staff Discussion Paper 2012-6 Carlos Arango, Angelika Welte The authors present the methodology and main findings of the Bank of Canada’s 2009 Methods-of-Payment survey, a detailed investigation of consumer payment behaviour in Canada. The survey targeted the 18- to 75-year-old Canadian resident population. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Bank notes, Financial services, Payment clearing and settlement systems JEL Code(s): E, E4
The Real-Time Properties of the Bank of Canada’s Staff Output Gap Estimates Staff Working Paper 2016-28 Julien Champagne, Guillaume Poulin-Bellisle, Rodrigo Sekkel We study the revision properties of the Bank of Canada’s staff output gap estimates since the mid-1980s. Our results suggest that the average staff output gap revision has decreased significantly over the past 15 years, in line with recent evidence for the U.S. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Econometric and statistical methods, Potential output JEL Code(s): C, C3, C38, E, E1, E17, E3, E32